The Relationship Between VIX Index and BRICS-T Countries' Stock Exchanges: Findings from Frequency Domain Causality Test

Abstract

In this study, the relationship between the BRICS-T countries' stock exchanges and the VIX Index is investigated. It is aimed to determine the interaction of fast developing countries with the VIX Index, which is accepted as an indicator of global fear or uncertainty. Breitung and Candelon (2006) frequency domain causality test was used in the analysis process. The data set consists of daily frequency data covering the years January 2015-June 2021. The findings of the study show that there is a unidirectional causality relationship at all frequencies from the VIX Index to the BRICS-T countries, with the exception of India. On the other hand, no causality relationship could be detected at any frequency between the Indian stock market and the VIX Index.